Xiu Xu
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E-mail: |
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Phone: |
+49 30 2093-5807 |
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Office: |
Spandauer Str. 1, room 406 |
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Office hours: |
Upon agreement |
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Postal address: |
Ladislaus von Bortkiewicz Chair of Statistics |
Education
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2014 - present: IRTG 1792- "High Dimensional Non Stationary Time Series", Humboldt University of Berlin
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2010 - 2016: MA, Ph.D. Program in Finance, The Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
Research Interests
- High-dimensional Time Series Analysis
- Financial Econometrics
- Asset pricing
Classes
- Statistical Tools in Finance and Insurance (Lecture SS 15)
- Selected Topics of Mathematical Statistics (Lecture WS15 / 16)
- Multivariate Statistical Analysis I (Lecture + Tutorial WS15 / 16)
- Advanced Methods in Quantitative Finance (Lecture SS 16)
- Mathematical Foundations for Finance and Insurance (Lecture WS16 / 17)
Working Papers
- Niu, L., Xu, X., and Chen, Y. (2015). An Adaptive Approach to Forecasting Three Key Macroeconomic Variables, SFB 649 Discussion Paper 2015-023 [ pdf ], submitted.
- Xu, X., Mihoci, A. and Härdle, WK (2015). lCARE - localizing Conditional AutoRegressive Expectiles, SFB 649 Discussion Paper 2015-052 [ pdf ] , submitted.
- Xu, X., Chen, C. and Härdle, WK (2016). Dynamic credit default swaps curves in a network topology, SFB 649 Discussion Paper 2016-059 [ pdf ] , submitted.
Projects
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LCARE - localized Conditional AutoRegressive Expectiles -
Default intensities in a network perspective
LCARE - localized Conditional AutoRegressive Expectiles